Thanks for the replies. That other thread was interesting reading too Nick

I had considered taking them to see The Wall show last year, but in the end decided against it mainly because I wanted them to see/hear more of the "classic" Floyd stuff than just The Wall. Had they been a little older then I would probably have taken them last year too.
I can get some ear plugs easily enough as I can grab some from the production area of where I work. Although saying that, we're sat a fair way from the stage and when I went to see Green Day last year, I felt the O2 sound system was loud without being harsh, if that makes sense? Maybe it's because its such a large venue?
I went to see Lostprophets last Sunday and they played in a smallish hall, standing room only. We were stood right at the back (I think I was the oldest person in the room - but that's another story) and my ears were ringing for a couple of hours after that gig.
With regard to the lateness of it all, Carol's (mrs SteveW) brother lives in central london so we only need to get back from the O2 to his place after the show, as we're staying there for the night. And the kids regularly have late nights on saturday when we visit friends, so the lateness of the show isn't too much of a concern